Illiquidity and default risk are determinants of bond spreads that models suggest vary across market states. The Australian sovereign debt market, where the Australian government provided an explicit guarantee over semi-government debt, provides an environment in which to examine these separate...

Returns to both traditional and risk-managed momentum strategies are non-normal, reducing the efficacy of the Sharpe ratio as an evaluation tool. To account for the higher moments of the return distribution, we evaluate momentum using the framework of myopic loss aversion. Under this framework,...